The long memory of order flow in the foreign exchange spot market
We study the long memory of order flow for each of three liquid currency pairs on a large electronic trading platform in the foreign exchange (FX) spot market. Due to the extremely high levels of market activity on the platform, and in contrast to existing empirical studies of other markets, our dat...
| Auteurs principaux: | , , |
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| Format: | Journal article |
| Publié: |
World Scientific Publishing
2016
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